2 citations · 2 across the 2 of their papers we have counts for
4 papers · 1 filter
Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
Consumption and Investment When Welfare Floors Change over Time
Gugyum Ha, Junkee Jeon, Takwon Kim
We study consumption and investment over a finite horizon when continuation utility must stay above a welfare floor that changes over time, and the floor at the horizon acts as a t…
Finite-Horizon Optimal Consumption and Investment with Time-Varying Job-Switching Costs
Gugyum Ha, Junkee Jeon, Jihoon Ok
In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the…
A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization
Zhou Yang, Junkee Jeon
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring t…